Related papers: Robust Product-line Pricing under Generalized Extr…
We study the implicit bias of optimization in robust empirical risk minimization (robust ERM) and its connection with robust generalization. In classification settings under adversarial perturbations with linear models, we study what type…
The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the…
Studying competition and market structure at the product level instead of brand level can provide firms with insights on cannibalization and product line optimization. However, it is computationally challenging to analyze product-level…
This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…
In this paper, gradient-based optimization methods are combined with finite-element modeling for improving electric devices. Geometric design parameters are considered by affine decomposition of the geometry or by the design element…
Most existing generation scheduling models for power systems under demand uncertainty rely on energy-based formulations with a finite number of time periods, which may fail to ensure that power supply and demand are balanced continuously…
In this paper we propose a constrained guaranteed cost robust model predictive controller (GCMPC) for uncertain discrete time systems. This controller was developed based on a quadratic cost functional and guarantee robustness with respect…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…
We study the maximum capture problem in facility location under random utility models, i.e., the problem of seeking to locate new facilities in a competitive market such that the captured user demand is maximized, assuming that each…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
Budgeted uncertainty sets have been established as a major influence on uncertainty modeling for robust optimization problems. A drawback of such sets is that the budget constraint only restricts the global amount of cost increase that can…
This paper unifies and extends results on a class of multivariate Extreme Value (EV) models studied by Hougaard, Crowder, and Tawn. In these models both unconditional and conditional distributions are EV, and all lower-dimensional marginals…
We propose a tube-based guaranteed cost model predictive controller considering a homothetic formulation for constrained linear systems subject to multiplicative structured norm-bounded uncertainties. It provides an upper bound to the…
We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The…
The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the…